Questions tagged [vix]

The Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options.

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How are VIX futures being priced when the VIX itself is not being calculated because of circuit breakers

I see that CBOE has halted trading all SPX options, which means the VIX cannot be calculated. Yet VIX futures are still trading and we are very close to the last trade date for the March contract. I ...
6
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1answer
447 views

Why does VIX need to calculate the Forward term?

From the reference, the Vix Whitepaper of CBOE, I found the formula of VIX. There are two terms. The first one is focusing on the info from Option contracts. And the second one is focusing on the ...
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0answers
152 views

How does VIX interpolate implied volatilities?

In the CBOE VIX white paper (direct link to PDF), it is explained that once the implied volatility of the near and next-term options $\sigma_1^2$, $\sigma_2^2$ are found, the constant-maturity 30-day ...
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125 views

How to find a probability of VIX moving from one price to another

I asked a similar question on here with a bounty. I decided to modify the question to simplify what I am trying to do. Is there a package on MATLAB or some other tool where I can find the probability ...
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0answers
27 views

Option Selection (rollover rules) in calculating intraday CBOE VIX (post 2014)

In calculating the CBOE VIX (post 2014) one has to select near- and next-term options, which are defined as options with >23 days and <37 days to maturity. As time moves on, a currently selected ...
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0answers
87 views

How to shock the IV surface w.r.t VIX and keep AOA

I have to compute the sensitivity of a set of option prices on a single sotck (range of tenor is over the whole surface) to an increase of 100% in the VIX.. and I am trying to get to the most ...
3
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0answers
86 views

Expected VIX at different levels of SPX

I'm looking for a model that computes the expected VIX based on SPX price moves. For instance, SPX is currently at around 2650, and VIX is at 24. If SPX jumps to 2600, at what level would the VIX be? ...
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422 views

Is there really a negative roll yield for futures in contango?

I am trying to wrap my head around how ETFs that track futures work (whether its USO tracking WTI futures or VXX tracking VIX futures). I have read online about how for normal contango environments, ...
3
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0answers
84 views

Motivation for hedging volatility using VIX ETNs

I wondered what the motivation for professional investors could be to trade in VIX ETNs. Why would they even think about trading this kind of product? (They normally should have access to VIX options,...
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0answers
215 views

Forecast biasness of VIX term structure

I'm interested in the topic of VIX futures being overpriced, so I'm looking for different models to find evidence for it. Asensio 2013 uses a regression to evaluate the forecast biasness of the VIX ...
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412 views

vix futures vega per contract and tvix vega per share

How much vega in spx terms (straddle contracts) or dollar value is in 10 vix futures contacts and 10000 shares of tvix
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78 views

Understanding the BAML MOVE index

Hello quant community. I am looking for more information about a very interesting index: BAML-ICE MOVE index. There is very little literature online that details how the index levels are calculated ...
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206 views

Is the VIX a Martingale?

Say the S&P500 follows a Gaussian diffusion process, so that: $$ VIX^2_{T,t}=\frac{1}{T}\mathrm{E}_t^\mathbb{Q}\left[\int_t^{t+T}\sigma_s^2ds\right] $$ where $T$ is the tenor (assume fixed), $t$ ...
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326 views

How to hedge a long stock with the corresponding volatility ETF

Let us say I want to establish a market neutral position. So if I buy 50 shares of stock (SPY) and I want to delta hedge, I sell an ATM covered call. So that brings the position delta to 0. Now, I ...
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46 views

Practical Effect of Time-Decay on Variance Swaps?

I want to implement a long vol hedging strategy by rolling spot variance swaps every month. This would be done through replicating spot VIX using the definition of VIX as a portfolio of OTM one-month ...
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1answer
167 views

Black76: Pricing options on futures

I am trying to roughly approximate (not really price) options on VIX futures whereby the VIX future is estimated using their bounds. If the option is approximated using the Black model, how do you ...
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108 views

Interpretation of Volatility of Volatility (VVIX)

Recently I came across the VVIX index (also known as VIX of VIX), which represents the 30 day implied (expected) Volatility of the VIX Index. I studied CBOE's Whitepaper for the VIX, which explains ...
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82 views

VIX and Realised Volatility Scaling

I have calculated the VIX implied volatility according to the CBOE Whitepaper: \begin{equation*} \sigma^2 = \frac{2}{T} \left(\sum_i \frac{\Delta K_i}{K_i^2} Q(K_i) e^{rT} \right) - \frac{1}{T} \...
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418 views

Time weighted Vega for a VIX future contract

How to calculate the time weighted Vega applicable for a 3 month future contract (Expiring in 82 days)? Vega with S&P500 as base
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150 views

Estimation of the variance risk premium via VIX

Suppose I have the formula for computing $\mathbb E^P\big[\int_0^T v\,dt\big]$ for the variance process $v$ in the real world measure $P$. Can I set it to the VIX$^2$ price and solve for the variance ...
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143 views

Modelling VIX futures backwardation

I have VIX futures trading algorithm and would like to perform Monte-Carlo simulation of VIX and understand how my algorithm performs on each simulation. In this case, not only VIX should be modeled, ...
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222 views

VIX/SPX Realized Beta Calculation

In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that 3M VIX/SPX realized Beta calculation: Use a blend of 1st, 2nd and 3 ...
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212 views

SPX/VIX Implied Beta Calculation

In https://globalmarkets.bnpparibas.com/r/Volatility_Express_20171128.pdf?t=BG3REXwMP3NZJRN7wY5Vt&stream=true, it states that 3M VIX/SPX implied Beta = (VIX 3M IVOL*VIX 3M futures)/SPX 3M IVOL ...
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221 views

Research topic on volatility

Currently studying about volatility, VIX and implied volatility as well as option pricing via stochastic volatility models. My question is how these are used in real life except of speculation. Do ...
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50 views

Why hasn't SVXY recouped more of its lost value as vol has crashed in the past 2 weeks?

SVXY fell from around \$140 to \$9. It has since bounced back 25% to around \$12. Vix futures went from the 11-14 range to 35 and now back to 17-18. SVXY holds a short position in Vix futures with ...
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87 views

using VIX to approximate BS IV for short term S&P ATM calls

what kind of adjustments are needed to VIX series so that it could be used to approximate BS IV in calculating near-term (EDIT: weeklys) SPY at-the-money call premiums/deltas? thanks a lot.
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841 views

How to find or calculate 30-day constant maturity price of a future?

Question, pretty much says it. Is there a reliable place where this data can be found or, if not, is there a reliable place where the underlying data needed to calculate the constant maturity price ...
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39 views

S&P 500 VIX Short-Term Futures Index from Vix futures data

I'm trying to reconstruct S&P 500 VIX Short-Term Futures Index (SPVIXSTR)from VIX futures data following the methodology described in the S&P official document that you can find here under ...
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122 views

Forward Index Level in VIX calculation

The VIX white paper (https://cdn.cboe.com/resources/vix/vixwhite.pdf) step #1 (page 6) says the the Forward Index Price is calculated as: F = Strike Price + e^RT x (Call Price - Put Price). Why doesn'...
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101 views

VIX options underlying: Can I safely use Put-Call parity instead of VIX futures

Couple of basic questions: 1- I'd like to calculate the implied of VIX options intraday, without access to intraday VIX futures. In the absence of VIX futures as underlyings, what would be the ...
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104 views

Historical VIX term structure data

I see that there is a CBOE page for collecting individual moments of term structure data, however, I'm wondering if anyone knows how to access historical data in bulk. Here's the CBOE page: http://...
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150 views

Double jumps stochastic volatility model (SVCJ, Duffie et al, 2000) - characteristic function for VIX

Currently I am working at my master's degree paper where I want to evaluate VIX options using stochastic volatility jump models.I got some MATLAB codes for the SVCJ model for the S&P, but as the ...
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47 views

Risk-neutral Simple Return Moment Log-return Moment

I am trying to find a way to link Risk-neutral moment of simple return to risk-neutral moment of log-returns. Specifically, by making the same standard assumptions of the Black-Scholes model with the ...